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KIRILGAN SEKİZLİ'DE GIDA FİYAT BALONLARININ SAPTANMASI: KÜRESEL KRİZ-COVİD 19 PANDEMİ DÖNEMLERİ İÇİN KARŞILAŞTIRMA

Yıl 2021, Cilt: 8 Sayı: 2, 1123 - 1140, 27.07.2021
https://doi.org/10.30798/makuiibf.910364

Öz

Çalışmanın amacı, 2008 Küresel Kriz ve Covid 19 pandemi dönemlerinde Kırılgan Sekizli ülkelerinde gıda fiyat balonlarının tarihlerini saptamaktır. Bu amaçla yinelemeli sağ kuyruklu birim kök testleri (Sup-Augmented Dickey-Fuller; SADF ve Generalized Sup-Augmented Dickey-Fuller; GSADF) yoluyla 2007:01-2020:09 dönemi için FAO gıda fiyat endeksi kullanılarak gıda fiyat balonlarının tarihleri tahmin edilmektedir. Çalışmanın sonucunda Arjantin, Brezilya ve Şili haricinde diğer Kırılgan Sekizli ülkelerinde Küresel Kriz döneminde kısa süreli gıda fiyat balonları tespit edilmiştir. Covid 19 pandemi dönemi bulguları incelendiğinde ise, Endonezya ve Arjantin haricindeki diğer Kırılgan Sekizli ülkelerinde, 2020 yılının ikinci çeyreğinde başlayan ve halen süren gıda fiyat balonları olduğu görülmektedir. Pandemi döneminde dünya genelinde yaşanan kuraklığın etkisi dikkate alındığında, gıda fiyat balonlarının daha uzun süreli olması beklenen bir bulgudur. Covid 19 pandemi döneminde gerçekleşen balonların ortak noktası, balonların 2020 yılının dördüncü ayından itibaren zirve yapmış olmasıdır. Bunun yanı sıra elde edilen bulgular, Covid 19 pandemi döneminde en büyük gıda fiyat balonunun Türkiye’de oluştuğunu göstermektedir.

Kaynakça

  • Al-Anaswah, N. ve Wilfling, B. (2011). Identification of Speculative Bubbles Using State-Space Models with Markov-Switching. Journal of Banking & Finance, 35(5), 1073-1086.
  • Arshanapalli, B. ve Nelson, W. (2008). A Cointegration Test to Verify The Housing Bubble. The International Journal of Business and Finance Research, 2(2), 35-43.
  • Barlevy, G. (2007). Economic Theory and Asset Bubbles. Economic Perspectives, 31(3). 44-59.
  • Bekkers, E., Brockmeier, M., Francois, J. ve Yang, F. (2017). Local food prices and international price transmission. World Development, 96, 216-230.
  • Bhargava, A. (1986). On the Theory of Testing for Unit Roots in Observed Time Series. The Review of Economic Studies, 53(3), 369-384.
  • Blanchard, O. J. (1979). Speculative bubbles, crashes and rational expectations. Economics letters, 3(4), 387-389.
  • Blanchard, O.J. ve Watson, M.W. (1982). Bubbles, Rational Expectations and Financial Markets, National Bureau of Economic Research, No. 945.
  • Bohl, M.T. ve Siklos, P.L. (2004). The Present Value Model of US Stock Prices Redux: A New Testing Strategy and Some Evidence. The Quarterly Review of Economics and Finance, 44(2), 208-223.
  • Brooks, C., & Katsaris, A. (2005). A Three‐Regime Model of Speculative Behaviour: Modelling The Evolution of The S&P 500 Composite Index. The Economic Journal, 115(505), 767-797.
  • Brooks, C., Prokopczuk, M., & Wu, Y. (2015). Booms and busts in commodity markets: bubbles or fundamentals?. Journal of Futures Markets, 35(10), 916-938.
  • Brunnermeier, M.K. (2008). Bubbles. The New Palgrave Dictionary of Economics, Second Edition, 578-583.
  • Busetti, F. ve Taylor, A.R. (2004). Tests of Stationarity against a Change in Persistence. Journal of Econometrics, 123(1), 33-66.
  • Campbell, J.Y. ve Shiller, R. (1987). Cointegration and Tests of Present Value Models. Journal of Political Economy, 95 (October), 1062–1088.
  • Campbell, J.Y. ve Perron, P. (1991). Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots, National Bureau of Economic Research Macroeconomics Annual, 6, 141-201.
  • Caspi, I.N. (2016). Testing for a Housing Bubble at the National and Regional Level: The Case of Israel. Empirical Economics, 51(2), 483-516.
  • Chang, T., Chiu, C.C. ve Nieh C.C. (2007). Rational Bubbles in The US Stock Market? Further Evidence from a Nonparametric Cointegration Test. Applied Economics Letters, 14, 517-521.
  • Cluff, M., Shirley, M. (2020). Revision to the FAO Food Price Indices. Food Outlook, Biannual Report on global food markets, Covid 19, June, 72-79.
  • Diba, B.T. ve Grossman, H.I (1987). On The Inception of Rational Bubbles. Quarterly Journal of Economics, 87: 697–700.
  • Diba, B.T. ve Grossman, H.I. (1988). Explosive Rational Bubbles in Stock Prices?. The American Economic Review, 78(3), 520-530.
  • Drake, L. (1993). Modelling UK House Prices Using Co‐integration: An Application of the Johansen Technique, Applied Economics, 25, 1225‐1228.
  • Enders, W. ve Granger, C.W.J. (1998). Unit-root Tests and Asymmetric Adjustment with An Example Using The Term Structure of Interest Rates. Journal of Business & Economic Statistics, 16(3), 304-311.
  • Enders, W. ve Siklos, P.L. (2001). Cointegration and Threshold Adjustment. Journal of Business & Economic Statistics, 19(2), 166-176.
  • Engsted, T. ve Nielsen, B. (2012). Testing for Rational Bubbles in a Co-explosive Vector Autoregression. The Econometrics Journal, 15, 226–254.
  • Engsted, T., Hviid, S.J. ve Pedersen, T.Q. (2016). Explosive Bubbles in House Prices? Evidence from The OECD Countries. Journal of International Financial Markets, Institutions and Money, 40, 14-25.
  • Etienne, X. L., Irwin, S. H. ve Garcia, P. (2014). Bubbles in food commodity markets: Four decades of evidence. Journal of International Money and Finance, 42, 129-155.
  • Evans, G.W. (1991). Pitfalls in Testing for Explosive Bubbles in Asset Prices. The American Economic Review, 81(4), 922-930.
  • Fama, E.F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25, 383–417.
  • FAO, Food and Agriculture Organization of the Unites Nations (2020). The state of food security and nutrition in the world, Erişim Tarihi 12 Aralık 2020, http://www.fao.org/3/ca9692en/ca9692en.pdf.
  • Froot, K.A. ve Obstfeld, M. (1991). Intrinsic Bubbles: The Case of Stock Prices. American Economic Review, 81, 1189–1214.
  • Garber, P.M. (2000). Famous First Bubbles: The Fundamentals of Early Manias. MIT Press. Cambridge, Massachusetts.
  • Hamilton, J.D. (1989). A New Approach to The Economic Analysis of Nonstationary Time Series and The Business Cycle. Econometrica, 57, 357-384.
  • Hamilton, J.D. (1990). Analysis of Time Series Subject to Changes in Regime. Journal of Econometrics, 45, 39-70.
  • Homm, U., & Breitung, J. (2012). Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods. Journal of Financial Econometrics, 10(1), 198-231.
  • Jirasakuldech, B., Emekter, R. ve Rao, R.P. (2008). Do Thai Stock Prices Deviate from Fundamental Values?. Pacific-Basin Finance Journal, 16(3), 298-315.
  • Johansen, S. ve Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration—with appucations to the demand for money. Oxford Bulletin of Economics and statistics, 52(2), 169-210.
  • Kim, J.Y. (2000). Detection of Change in Persistence of a Linear Time Series. Journal of Econometrics, 95(1), 97-116.
  • Kindleberger, C.P. (1978). Manias, Panics, and Crashes: A History of Financial Crises, New York: Basic Books.
  • Kivedal, B.K. (2013) Testing for Rational Bubbles in the US Housing Market. Journal of Macroeconomics, 38(PB), 369–381.
  • Lammerding, M., Stephan, P., Trede, M. ve Wilfling, B. (2013). Speculative Bubbles in Recent Oil Price Dynamics: Evidence from a Bayesian Markov-switching state-space approach. Energy Economics, 36, 491-502.
  • LeRoy, S. F. ve Porter, R. D. (1981). The Present-value Relation: Tests Based on Implied Variance Bounds. Econometrica: Journal of the Econometric Society, 555–574.
  • Li, J., Li, C. ve Chavas, J. P. (2017). Food price bubbles and government intervention: is China different?. Canadian Journal of Agricultural Economics, 65(1), 135-157.
  • Pavlidis, E., Martinez-Garcia, E. ve Grossman, V. (2019). Detecting Periods of Exuberance: A Look at The Role of Aggregation with an Application to House Prices. Economic Modelling, 80, 87-102.
  • Payne, J.E. ve Waters, G.A. (2005). REIT Markets: Periodically Collapsing Negative Bubbles?. Applied Financial Economics Letters, 1(2), 65-69.
  • Peng, W. (2002). What Drives The Property Price in Hong Kong, Hong Kong Monetary Authority Quarterly Bulletin, August, 19‐33.
  • Phillips, P.C.B. ve Yu, J. (2009). Limit Theory for Dating The Origination and Collapse of Mildly Explosive Periods in Time Series Data. Sim Kee Boon Institute For Financial Economics, Singapore Management University, Unpublished Manuscript.
  • Phillips, P.C.B., Wu, Y. ve Yu, J. (2011). Explosive Behavior in the 1990s Nasdaq: When did Exuberance Escalate Asset Values?, International Economic Review, 52, 201-226.
  • Phillips, P. C., Shi, S. ve Yu, J. (2015). Testing for multiple bubbles: Limit theory of real time detectors. Resarch Collection School Of Economics, 1-75.
  • Shiller, R.J. (1980). Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?, National Bureau of Economic Research, No. 456.
  • Shiller, R.J. (2000). Irrational Excuberance. Princeton University Press. Princeton, New Jersey.
  • Stiglitz, J.E. (1990). Symposium on Bubbles. Journal of Economic Perspectives, 4(2), 13-18.
  • Taipalus, K. (2012). Detecting Asset Price Bubbles with Time-Series Methods. Finland Banks, Scientific Monograps E.47.
  • Taylor, M.P. ve Peel, D.A. (1998). Periodically Collapsing Stock Price Bubbles: A Robust Test. Economics Letters, 61(2), 221-228.
  • Van Norden, S. ve Schaller, H. (1993). The Predictability of Stock Market Regime: Evidence from The Toronto Stock Exchange. Review of Economics and Statistics, 75, 505–510.
  • Van Norden, S. (1996). Regime Switching As a Test for Exchange Rate Bubbles. Journal of Applied Econometrics, 11, 219–251.
  • Wahl, P. (2009). Food speculation: The main factor of the price bubble in 2008. WEED–Weltwirtschaft, Ökologie & Entwicklung, Briefing Paper. Berlin (Germany) WEED. Retrieved May, 20, 2011.
  • Wang, X., Su, C., Tao, R. ve Lobonț, O. R. (2018). When will food price bubbles burst? A review. Agricultural Economics, 64(12), 566-573.
  • West, K.D. (1987). A Specification Test for Speculative Bubbles. The Quarterly Journal of Economics, 102, 553–580.
  • Wu, Y. (1997). Rational Bubbles in The Stock Market: Accounting for the U.S. Stock Price Volatility. Economic Inquiry, 35, 309–319.

DETECTING FOOD PRICE BUBBLES IN THE FRAGILE EIGHT: COMPARISON FOR THE GLOBAL CRISIS-COVID 19 PANDEMIC PERIODS

Yıl 2021, Cilt: 8 Sayı: 2, 1123 - 1140, 27.07.2021
https://doi.org/10.30798/makuiibf.910364

Öz

The aim of the study is to determine the dates of food price bubbles in Fragile Eights countries during the 2008 global crisis and the covid 19 pandemic. For this purpose, dates of food price bubbles are estimated using the FAO (Food and Agriculture Organization) Food Price Index for the period 2007:01-2020:09 through recursive right-tailed unit root tests (Sup-Augmented Dickey-Fuller; SADF and Generalized Sup-Augmented Dickey-Fuller; GSADF). As a result of the study, short-term food price bubbles were detected during the global crisis in other Fragile Eight countries, with the exception of Argentina, Brazil and Chile. When the findings of the Covid 19 pandemic period are examined, it is seen that there are food price bubbles that started in the second quarter of 2020 and are still continuing in other Fragile Eight countries except Indonesia and Argentina. Considering the impact of the drought experienced throughout the world during the pandemic period, it is an expected finding that the food price bubbles will be longer. The common point of the bubbles, which took place during the covid 19 pandemic period, is that the bubbles peaked in the fourth month of 2020. In addition, the findings show that the largest food price bubble occurred in Turkey during the Covid 19 pandemic period.

Kaynakça

  • Al-Anaswah, N. ve Wilfling, B. (2011). Identification of Speculative Bubbles Using State-Space Models with Markov-Switching. Journal of Banking & Finance, 35(5), 1073-1086.
  • Arshanapalli, B. ve Nelson, W. (2008). A Cointegration Test to Verify The Housing Bubble. The International Journal of Business and Finance Research, 2(2), 35-43.
  • Barlevy, G. (2007). Economic Theory and Asset Bubbles. Economic Perspectives, 31(3). 44-59.
  • Bekkers, E., Brockmeier, M., Francois, J. ve Yang, F. (2017). Local food prices and international price transmission. World Development, 96, 216-230.
  • Bhargava, A. (1986). On the Theory of Testing for Unit Roots in Observed Time Series. The Review of Economic Studies, 53(3), 369-384.
  • Blanchard, O. J. (1979). Speculative bubbles, crashes and rational expectations. Economics letters, 3(4), 387-389.
  • Blanchard, O.J. ve Watson, M.W. (1982). Bubbles, Rational Expectations and Financial Markets, National Bureau of Economic Research, No. 945.
  • Bohl, M.T. ve Siklos, P.L. (2004). The Present Value Model of US Stock Prices Redux: A New Testing Strategy and Some Evidence. The Quarterly Review of Economics and Finance, 44(2), 208-223.
  • Brooks, C., & Katsaris, A. (2005). A Three‐Regime Model of Speculative Behaviour: Modelling The Evolution of The S&P 500 Composite Index. The Economic Journal, 115(505), 767-797.
  • Brooks, C., Prokopczuk, M., & Wu, Y. (2015). Booms and busts in commodity markets: bubbles or fundamentals?. Journal of Futures Markets, 35(10), 916-938.
  • Brunnermeier, M.K. (2008). Bubbles. The New Palgrave Dictionary of Economics, Second Edition, 578-583.
  • Busetti, F. ve Taylor, A.R. (2004). Tests of Stationarity against a Change in Persistence. Journal of Econometrics, 123(1), 33-66.
  • Campbell, J.Y. ve Shiller, R. (1987). Cointegration and Tests of Present Value Models. Journal of Political Economy, 95 (October), 1062–1088.
  • Campbell, J.Y. ve Perron, P. (1991). Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots, National Bureau of Economic Research Macroeconomics Annual, 6, 141-201.
  • Caspi, I.N. (2016). Testing for a Housing Bubble at the National and Regional Level: The Case of Israel. Empirical Economics, 51(2), 483-516.
  • Chang, T., Chiu, C.C. ve Nieh C.C. (2007). Rational Bubbles in The US Stock Market? Further Evidence from a Nonparametric Cointegration Test. Applied Economics Letters, 14, 517-521.
  • Cluff, M., Shirley, M. (2020). Revision to the FAO Food Price Indices. Food Outlook, Biannual Report on global food markets, Covid 19, June, 72-79.
  • Diba, B.T. ve Grossman, H.I (1987). On The Inception of Rational Bubbles. Quarterly Journal of Economics, 87: 697–700.
  • Diba, B.T. ve Grossman, H.I. (1988). Explosive Rational Bubbles in Stock Prices?. The American Economic Review, 78(3), 520-530.
  • Drake, L. (1993). Modelling UK House Prices Using Co‐integration: An Application of the Johansen Technique, Applied Economics, 25, 1225‐1228.
  • Enders, W. ve Granger, C.W.J. (1998). Unit-root Tests and Asymmetric Adjustment with An Example Using The Term Structure of Interest Rates. Journal of Business & Economic Statistics, 16(3), 304-311.
  • Enders, W. ve Siklos, P.L. (2001). Cointegration and Threshold Adjustment. Journal of Business & Economic Statistics, 19(2), 166-176.
  • Engsted, T. ve Nielsen, B. (2012). Testing for Rational Bubbles in a Co-explosive Vector Autoregression. The Econometrics Journal, 15, 226–254.
  • Engsted, T., Hviid, S.J. ve Pedersen, T.Q. (2016). Explosive Bubbles in House Prices? Evidence from The OECD Countries. Journal of International Financial Markets, Institutions and Money, 40, 14-25.
  • Etienne, X. L., Irwin, S. H. ve Garcia, P. (2014). Bubbles in food commodity markets: Four decades of evidence. Journal of International Money and Finance, 42, 129-155.
  • Evans, G.W. (1991). Pitfalls in Testing for Explosive Bubbles in Asset Prices. The American Economic Review, 81(4), 922-930.
  • Fama, E.F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25, 383–417.
  • FAO, Food and Agriculture Organization of the Unites Nations (2020). The state of food security and nutrition in the world, Erişim Tarihi 12 Aralık 2020, http://www.fao.org/3/ca9692en/ca9692en.pdf.
  • Froot, K.A. ve Obstfeld, M. (1991). Intrinsic Bubbles: The Case of Stock Prices. American Economic Review, 81, 1189–1214.
  • Garber, P.M. (2000). Famous First Bubbles: The Fundamentals of Early Manias. MIT Press. Cambridge, Massachusetts.
  • Hamilton, J.D. (1989). A New Approach to The Economic Analysis of Nonstationary Time Series and The Business Cycle. Econometrica, 57, 357-384.
  • Hamilton, J.D. (1990). Analysis of Time Series Subject to Changes in Regime. Journal of Econometrics, 45, 39-70.
  • Homm, U., & Breitung, J. (2012). Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods. Journal of Financial Econometrics, 10(1), 198-231.
  • Jirasakuldech, B., Emekter, R. ve Rao, R.P. (2008). Do Thai Stock Prices Deviate from Fundamental Values?. Pacific-Basin Finance Journal, 16(3), 298-315.
  • Johansen, S. ve Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration—with appucations to the demand for money. Oxford Bulletin of Economics and statistics, 52(2), 169-210.
  • Kim, J.Y. (2000). Detection of Change in Persistence of a Linear Time Series. Journal of Econometrics, 95(1), 97-116.
  • Kindleberger, C.P. (1978). Manias, Panics, and Crashes: A History of Financial Crises, New York: Basic Books.
  • Kivedal, B.K. (2013) Testing for Rational Bubbles in the US Housing Market. Journal of Macroeconomics, 38(PB), 369–381.
  • Lammerding, M., Stephan, P., Trede, M. ve Wilfling, B. (2013). Speculative Bubbles in Recent Oil Price Dynamics: Evidence from a Bayesian Markov-switching state-space approach. Energy Economics, 36, 491-502.
  • LeRoy, S. F. ve Porter, R. D. (1981). The Present-value Relation: Tests Based on Implied Variance Bounds. Econometrica: Journal of the Econometric Society, 555–574.
  • Li, J., Li, C. ve Chavas, J. P. (2017). Food price bubbles and government intervention: is China different?. Canadian Journal of Agricultural Economics, 65(1), 135-157.
  • Pavlidis, E., Martinez-Garcia, E. ve Grossman, V. (2019). Detecting Periods of Exuberance: A Look at The Role of Aggregation with an Application to House Prices. Economic Modelling, 80, 87-102.
  • Payne, J.E. ve Waters, G.A. (2005). REIT Markets: Periodically Collapsing Negative Bubbles?. Applied Financial Economics Letters, 1(2), 65-69.
  • Peng, W. (2002). What Drives The Property Price in Hong Kong, Hong Kong Monetary Authority Quarterly Bulletin, August, 19‐33.
  • Phillips, P.C.B. ve Yu, J. (2009). Limit Theory for Dating The Origination and Collapse of Mildly Explosive Periods in Time Series Data. Sim Kee Boon Institute For Financial Economics, Singapore Management University, Unpublished Manuscript.
  • Phillips, P.C.B., Wu, Y. ve Yu, J. (2011). Explosive Behavior in the 1990s Nasdaq: When did Exuberance Escalate Asset Values?, International Economic Review, 52, 201-226.
  • Phillips, P. C., Shi, S. ve Yu, J. (2015). Testing for multiple bubbles: Limit theory of real time detectors. Resarch Collection School Of Economics, 1-75.
  • Shiller, R.J. (1980). Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?, National Bureau of Economic Research, No. 456.
  • Shiller, R.J. (2000). Irrational Excuberance. Princeton University Press. Princeton, New Jersey.
  • Stiglitz, J.E. (1990). Symposium on Bubbles. Journal of Economic Perspectives, 4(2), 13-18.
  • Taipalus, K. (2012). Detecting Asset Price Bubbles with Time-Series Methods. Finland Banks, Scientific Monograps E.47.
  • Taylor, M.P. ve Peel, D.A. (1998). Periodically Collapsing Stock Price Bubbles: A Robust Test. Economics Letters, 61(2), 221-228.
  • Van Norden, S. ve Schaller, H. (1993). The Predictability of Stock Market Regime: Evidence from The Toronto Stock Exchange. Review of Economics and Statistics, 75, 505–510.
  • Van Norden, S. (1996). Regime Switching As a Test for Exchange Rate Bubbles. Journal of Applied Econometrics, 11, 219–251.
  • Wahl, P. (2009). Food speculation: The main factor of the price bubble in 2008. WEED–Weltwirtschaft, Ökologie & Entwicklung, Briefing Paper. Berlin (Germany) WEED. Retrieved May, 20, 2011.
  • Wang, X., Su, C., Tao, R. ve Lobonț, O. R. (2018). When will food price bubbles burst? A review. Agricultural Economics, 64(12), 566-573.
  • West, K.D. (1987). A Specification Test for Speculative Bubbles. The Quarterly Journal of Economics, 102, 553–580.
  • Wu, Y. (1997). Rational Bubbles in The Stock Market: Accounting for the U.S. Stock Price Volatility. Economic Inquiry, 35, 309–319.
Toplam 58 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Araştırma Makaleleri
Yazarlar

Nimet Varlık 0000-0002-7280-306X

Yayımlanma Tarihi 27 Temmuz 2021
Gönderilme Tarihi 6 Nisan 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 8 Sayı: 2

Kaynak Göster

APA Varlık, N. (2021). KIRILGAN SEKİZLİ’DE GIDA FİYAT BALONLARININ SAPTANMASI: KÜRESEL KRİZ-COVİD 19 PANDEMİ DÖNEMLERİ İÇİN KARŞILAŞTIRMA. Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty, 8(2), 1123-1140. https://doi.org/10.30798/makuiibf.910364